Background: Post-event processing (PEP) after social interactions (SIs) contributes to the persistence of social phobia (SP). This study investigated whether PEP as a transdiagnostic process also occurs in major depressive disorder (MDD) and controls. We also tested to what extent PEP was explained by trait levels of social anxiety (SA) or depression. Method: For seven days, a total of n = 165 patients (n = 47 SP, n = 118 MDD) and n = 119 controls completed five surveys per day on their smartphones. Event-based experience sampling was used. PEP was assessed following subjective embarrassment in SIs with two reliable items from the Post-Event Processing Questionnaire. Data were analysed via multilevel regression analyses. Results: Individuals with SP or MDD experienced more embarrassing SIs than controls and, accordingly, more PEP. The relative frequency of PEP after embarrassing SIs was equally high in all groups (86-96%). The groups did not differ regarding the amount of time PEP was experienced. After controlling trait depression, embarrassment occurred more frequently only in SP compared to controls. When controlling trait SA, between-group differences in indications of embarrassment, and consequently in PEP, dissipated. Conclusions: PEP could be interpreted as a common coping strategy among all individuals, while more frequent embarrassment might be specific for clinical groups. Embarrassment was primarily driven by SA. The alleviation of SA could lead to the reduction of embarrassment and, further, of PEP. On this basis, a model describing PEP in MDD is proposed, while current models of PEP in SP are complemented.